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Application of a local linear autoregressive model to BOD time series

✍ Scribed by Zongwu Cai; Ram C. Tiwari

Publisher: John Wiley and Sons
Year: 2000
Tongue: English
Weight: 105 KB
Volume: 11
Category: Article
ISSN: 1180-4009
DOI: 10.1002/(sici)1099-095x(200005/06)11:3<341::aid-env421>3.0.co;2-8

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✦ Synopsis

In this paper\ we analyze the biochemical oxygen demand data collected over two years from McDowell Creek\ Charlotte\ North Carolina\ U[S[A[\ by _tting an autoregressive model with time!dependent coe.cients[ The local linear smoothing technique is developed and implemented to estimate the coe.cient functions of the autoregressive model[ A nonparametric version of the Akaike information criterion is developed to determine the order of the model and to select the optimal bandwidth[ We also propose a hypothesis testing technique\ based on the residual sum of squares and F!test\ to detect whether certain coe.cients in the model are really varying or whether any variables are signi_cant[ The approximate null distributions of the test are provided[ The proposed model has some advantages\ such as it is determined completely by data\ it is easily implemented and it provides a better prediction[

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